Tax Withholding Question

So I had a guy look at my paystub during a budget seminar with someone that I supervise in the Air Force and I never realized that in the 9 years that I've been married that I never changed my tax withholding status from Single rate to Married rate. My wife is a Stay at Home mom and we have 3 kids with a 4th (and final!) on the way and we always file our taxes joint and we get a ridiculous refund like almost $10k and the guy told me that I should at least file exemptions on the 3 boys because I get the yearly tax credits for them and that I'm giving the government an "interest-free loan" by not having exemptions. My monthly fed withholding is $488.

So my question is, would changing my withhold status from Single to Married pocket more money monthly? Could having exemptions on each of my boys monthly equal to the annual tax credit(Like $250 a month) be a good thing? Should I do one or the other? I understand that the yearly refund would shrink but we are good at putting money in our savings monthly and I will be in the market for a new car after we pay bills off at tax time I just don't want to change things and then have to owe the IRS the next year.